Bell's theorem-like effects from missing data and write skew

Re:Bell's theorem-like effects from missing data and write skew by PaulHoule on Friday September 01, 2017 @09:53AM (#15148304)

Issues like this turn out when you analyze hedge fund returns, see

http://press.princeton.edu/titles/9177.html

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Re:Bell's theorem-like effects from missing data and write skew by jasonmorton on Friday September 01, 2017 @10:13AM (#15148447)

Interesting, why is that? Hedge fund returns certainly don't suffer from light speed issues (although missing data can be a problem).

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Re:Bell's theorem-like effects from missing data and write skew by PaulHoule on Friday September 01, 2017 @10:51AM (#15148784)

Hedge fund returns often show delays relative to the underlying assets for a number of reasons. First they are not "marked to market" daily the way mutual funds and ETFs are. They can also "sell Peter to buy Paul", use options, and do other things that complicate serial complications.

Lo's book does a great job of explaining it and also talks in detail about a quant strategy that was almost as good as printing money in the 1990's that eventually burned out.

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